Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0233 |
| Annualized Std Dev | 0.2877 |
| Annualized Sharpe (Rf=0%) | 0.0811 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5566.0000 |
| NAs | 1.0000 |
| Minimum | -0.2027 |
| Quartile 1 | -0.0072 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0084 |
| Maximum | 0.1994 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0003 |
| Stdev | 0.0181 |
| Skewness | -0.2163 |
| Kurtosis | 14.5718 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0131 |
| Gain Deviation | 0.0133 |
| Loss Deviation | 0.0147 |
| Downside Deviation (MAR=210%) | 0.0175 |
| Downside Deviation (Rf=0%) | 0.0130 |
| Downside Deviation (0%) | 0.0130 |
| Maximum Drawdown | 0.7162 |
| Historical VaR (95%) | -0.0262 |
| Historical ES (95%) | -0.0439 |
| Modified VaR (95%) | -0.0253 |
| Modified ES (95%) | -0.0254 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-30 | 2008-11-21 | NA | -0.7162 | 3349 | 248 | NA |
| 2002-05-03 | 2002-10-14 | 2003-09-03 | -0.3622 | 330 | 110 | 220 |
| 2004-11-29 | 2005-06-24 | 2006-11-30 | -0.2723 | 507 | 145 | 362 |
| 2001-02-16 | 2001-09-27 | 2001-12-31 | -0.2556 | 209 | 146 | 63 |
| 2007-06-04 | 2007-08-16 | 2007-11-29 | -0.1949 | 126 | 53 | 73 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | -2.9 | -3 | 0 | -4.3 | -5.1 | 1.3 | -4.2 | 2.5 | -1.3 | -0.6 | 0 | -1.9 | -18.2 |
| 2000 | 0 | 0 | 0.6 | 2.5 | 1.2 | 0 | 0.6 | 0.6 | 1.1 | 4.5 | -1.1 | 1.1 | 11.6 |
| 2001 | 0 | 2.1 | -2.3 | 3.2 | 0.8 | 1.3 | 0 | 1.9 | 2.8 | 0.4 | 0.2 | 2.8 | 13.8 |
| 2002 | 3.2 | 0.5 | -0.7 | 1.5 | -1.8 | -6.3 | -1.6 | -0.8 | 2.8 | 1.6 | 0.4 | -0.7 | -2.2 |
| 2003 | -0.7 | 0.7 | -2.9 | 1.6 | 7.4 | 0 | -0.4 | 1.6 | 1.7 | 0.4 | 1.5 | 0.8 | 12 |
| 2004 | 1.9 | 0.7 | 1.9 | -0.5 | 1.5 | -1.5 | 2 | 0.9 | 3.7 | 0.3 | -1 | -0.3 | 9.9 |
| 2005 | -1.8 | -1.2 | -0.4 | -1.1 | 0 | 0.8 | 0.6 | 0.1 | 1.2 | -0.1 | 0.8 | 0.3 | -0.7 |
| 2006 | 1.1 | -0.6 | 2.8 | -0.8 | 2.7 | 1.8 | -0.5 | -0.6 | 0.5 | 0 | -0.4 | 0.6 | 6.7 |
| 2007 | 2.8 | -3.3 | 1.3 | -1.5 | 0.1 | 0.8 | -1.1 | 0.5 | 3.2 | -3.2 | -3.5 | -2.4 | -6.5 |
| 2008 | 3 | -1.5 | 1.5 | 1.5 | 0.5 | 0.5 | 0.5 | -0.2 | -1.9 | -1.4 | -2.4 | 7.7 | 7.6 |
| 2009 | -1.6 | -0.8 | -2.3 | -1 | 5.8 | 1.2 | 0.8 | -0.7 | -1.9 | -2.3 | 1.2 | 0.6 | -1.2 |
| 2010 | 1.2 | 2 | 1.5 | -1.6 | -2.7 | -1 | 0.5 | 2.8 | 0.6 | -0.3 | 1.7 | -0.1 | 4.5 |
| 2011 | 1.8 | -1 | 0.8 | 0.1 | -2 | 1 | 0.8 | -2.2 | -2.4 | -3.9 | 0 | -0.6 | -7.4 |
| 2012 | 0 | 0.8 | -0.6 | 0.4 | -2.7 | 1.1 | -0.8 | 0.2 | 0.7 | 1.7 | 0 | 1.7 | 2.5 |
| 2013 | 0.4 | 0.1 | -1.4 | -0.1 | -2.4 | 1.1 | 0.8 | -1 | 0.6 | -1.2 | 0.5 | -0.9 | -3.4 |
| 2014 | -0.3 | 0.8 | 0.6 | 0.1 | 0 | 0.9 | -1.2 | 0.4 | -1.4 | 0.8 | -2 | -0.5 | -1.9 |
| 2015 | -1.7 | -0.1 | -0.4 | 1.3 | 0.1 | 0.6 | 0.5 | -2.5 | -0.5 | -0.2 | 0.5 | 0.2 | -2.2 |
| 2016 | -0.6 | 1.6 | 0.2 | -0.5 | 0.3 | 1.2 | -0.2 | 0.3 | 1.2 | -0.5 | -0.9 | -0.7 | 1.5 |
| 2017 | 0.8 | 1.1 | 1 | 0.1 | 1.1 | 0.4 | 0.3 | 0.8 | 0.5 | -0.4 | -0.6 | 0 | 5.1 |
| 2018 | 0.6 | -1.1 | 0 | 0.4 | 0.2 | 0.6 | 0 | -0.1 | -0.3 | 3 | 0.1 | 0.2 | 3.6 |
| 2019 | 0.2 | 0.6 | 0 | -0.3 | -0.9 | -0.1 | -0.3 | 0.8 | -1 | 1.6 | -0.7 | 0.5 | 0.3 |
| 2020 | -1.4 | -2.5 | -5.8 | -2.8 | 1.2 | -0.2 | -1 | 0.3 | 0 | -0.3 | 1.8 | 0.1 | -10.3 |
| 2021 | 2.5 | 1.6 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.3 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
